On the fundamental theorem of asset pricing: random constraints and bang-bang no-arbitrage criteria
AbstractThe paper generalizes and refines the Fundamental Theorem of Asset Pricing of Dalang, Morton and Willinger in the following two respects: (a) the result is extended to a model with portfolio constraints; (b) versions of the no-arbitrage criterion based on the bang-bang principle in control theory are developed.
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Bibliographic InfoPaper provided by University of Bonn, Germany in its series Bonn Econ Discussion Papers with number bgse24_2002.
Date of creation: Oct 2002
Date of revision:
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no arbitrage criteria; portfolio constraints; supermartingale measures; bang-bang control;
Other versions of this item:
- Igor V. Evstigneev & Klaus Schürger & Michael I. Taksar, 2004. "On The Fundamental Theorem Of Asset Pricing: Random Constraints And Bang-Bang No-Arbitrage Criteria," Mathematical Finance, Wiley Blackwell, vol. 14(2), pages 201-221.
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
- D40 - Microeconomics - - Market Structure and Pricing - - - General
This paper has been announced in the following NEP Reports:
- NEP-ALL-2002-12-17 (All new papers)
- NEP-CFN-2002-12-17 (Corporate Finance)
- NEP-FIN-2002-12-17 (Finance)
- NEP-FMK-2002-12-17 (Financial Markets)
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
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- repec:fth:inseep:9514 is not listed on IDEAS
- Laurence Carassus & Huyeˆn Pham & Nizar Touzi, 2001. "No Arbitrage in Discrete Time Under Portfolio Constraints," Mathematical Finance, Wiley Blackwell, vol. 11(3), pages 315-329.
- Elyégs Jouini & Hédi Kallal, 1995. "Arbitrage In Securities Markets With Short-Sales Constraints," Mathematical Finance, Wiley Blackwell, vol. 5(3), pages 197-232.
- Wael Bahsoun & Igor Evstigneev & Michael Taksar, 2007. "Rapid paths in von Neumann-Gale dynamical systems," The School of Economics Discussion Paper Series 0718, Economics, The University of Manchester.
- Teemu Pennanen, 2011. "Arbitrage and deflators in illiquid markets," Finance and Stochastics, Springer, vol. 15(1), pages 57-83, January.
- Alet Roux, 2007. "The fundamental theorem of asset pricing under proportional transaction costs," Papers 0710.2758, arXiv.org.
- M A H Dempster & I V Evstigneev & M I Taksar, 2005.
"Asset pricing and hedging in financial markets with transaction costs: an approach based on the von Neumann-Gale model,"
062005, University of Cambridge, Judge Business School, Centre for Financial Research.
- M. Dempster & I. Evstigneev & M. Taksar, 2006. "Asset Pricing and Hedging in Financial Markets with Transaction Costs: An Approach Based on the Von Neumann–Gale Model," Annals of Finance, Springer, vol. 2(4), pages 327-355, October.
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